Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
AbstractThis paper considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is easily generalized to arbitrary stationary and strictly invertible ARMA processes. In addition we consider the model selection problem and derive tests of the null hypothesis of no serial correlation as well as tests for discriminating between the AR(1) and MA(1) specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators, test-statistics and model selection procedures.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 383.
Length: 31 pages
Date of creation: 15 May 2000
Date of revision:
Publication status: Published in Empirical Economics, 2004, pages 79-88.
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Panel data; autocorrelation; time specific effect; variance components;
Other versions of this item:
- Sune Karlsson & Jimmy Skoglund, 2004. "Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects," Empirical Economics, Springer, vol. 29(1), pages 79-88, January.
- Sune Karlsson & Jimmy Skoglund, 2000. "Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects," Econometric Society World Congress 2000 Contributed Papers 1178, Econometric Society.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-05-22 (All new papers)
- NEP-ECM-2000-05-22 (Econometrics)
- NEP-ETS-2000-05-22 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Giorgio Calzolari & Laura Magazzini, 2009.
"Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood,"
53/2009, University of Verona, Department of Economics.
- Giorgio Calzolari & Laura Magazzini, 2012. "Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood," Empirical Economics, Springer, vol. 43(1), pages 145-152, August.
- Marcel die Dama & Boniface ngah Epo & Galex syrie Soh, 2013. "Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data," Economics Bulletin, AccessEcon, vol. 33(1), pages 625-634.
- Badi H. Baltagi, 2008.
"Forecasting with panel data,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
- Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank, Research Centre.
- Giorgio Calzolari & Laura Magazzini, 2009. "Poor identification and estimation problems in panel data models with random effects and autocorrelated errors," Working Papers 53, University of Verona, Department of Economics.
- Paolo, Foschi, 2005. "Estimating regressions and seemingly unrelated regressions with error component disturbances," MPRA Paper 1424, University Library of Munich, Germany, revised 07 Sep 2006.
- Jimmy Skoglund & Sune Karlsson, 2002. "Asymptotics for random effects models with serial correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-1, International Conferences on Panel Data.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).
If references are entirely missing, you can add them using this form.